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Abnormal returns and stock price movements : some evidence from developed and emerging markets

Caporale, Guglielmo Maria; Plastun, Alex - 2020

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...

Persistent link: https://www.econbiz.de/10012390869

Leverage and beliefs : personal experience and risk taking in margin lending

Koudijs, Peter; Voth, Hans-Joachim - 2014

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on … collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor … leverage in the Amsterdam stock market declined as a result. …

Persistent link: https://www.econbiz.de/10010359782

Diversify and Purify Factor Premiums in Equity Markets

Carvalho, Raul Leote de - 2017

In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture...

Persistent link: https://www.econbiz.de/10012966327

Economic Policy Uncertainty in China and Stock Market Expected Returns

Chen, Jian - 2017

We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...

Persistent link: https://www.econbiz.de/10012968808

When (If Ever) Has it Paid to Wait for a Stock Market Correction?

Haghani, Victor - 2017

Investors are periodically challenged with this question: with funds ready to invest, but faced with a market that is generally perceived to be expensive, is it better to wait for a market correction before investing? Many investors are certain that a correction must be around the corner, and...

Persistent link: https://www.econbiz.de/10012947040

Forecasting Excess Returns of the Gold Market : Can We Learn from Stock Market Predictions?

Dichtl, Hubert - 2017

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast. Against this background, this study evaluates the forecasting power of three methods that have been applied successfully in a stock market prediction context: 1) technical...

Persistent link: https://www.econbiz.de/10012951544

Indian Stock Market : Functions and Importance

Naved, Mohd - 2015

In this article, we are going to attempt to explain the origin, function, purpose and relation of the Stock Market to the modern financial system in India with the help of government documents, journals and valuable books for meaningful conclusion

Persistent link: https://www.econbiz.de/10013023257

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403

The ARCH-in-Mean Dose Work : Out-of-Sample Predictability of US Stock Market

Xie, Haibin - 2015

The predictability of stock market is of great interest to both reseachers and investors. Despite voluminous evidence of in-sample predictability, the out-of-sample predictability of stock returns remains an ongoing debate. In this paper, motivated by both the financial theories and the well...

Persistent link: https://www.econbiz.de/10013029611

An Economic Covariance Model of Stock-Bond Dynamics

Saleh, Fahad - 2018

The price of equity equals the risk-adjusted present discounted value of cash-ﬂows. Discount factors depend upon the short rate process. As such, a link exists between bond and equity returns. This link implies a relationship between volatilities and the stock-bond correlation. I show that the...

Persistent link: https://www.econbiz.de/10012917061